Behavior of the Limit Orderbook
Cancellation rates, size distribution and more!
In the previous article we looked at how we can realistically combine multiple different strategies and when it’s worth it to do so.
In this article we are gonna look at a bunch of different properties of the orderbook.
How is size distributed? How quickly do holes refill after a big taker order? Those and many more questions are gonna be answered in this article.
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Table of Content
Best Bid and Ask
Limit Orders
Market Orders
Maker - Taker Dynamics
Important Metrics
Final Remarks